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Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model

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  • Victor Olkhov

Abstract

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price "to-day," mean payoff "next-day," price and payoff volatilities, and price and payoff autocorrelations. The deep conjunction of the consumption-based model with other versions of asset pricing, such as ICAPM, APM, etc. (Cochrane, 2001), emphasizes that our results are valid for other pricing models.

Suggested Citation

  • Victor Olkhov, 2022. "Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model," Papers 2204.07506, arXiv.org, revised Mar 2024.
    • Handle: RePEc:arx:papers:2204.07506
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    References listed on IDEAS

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    1. Dennis P. Quinn & Hans-Joachim Voth, 2008. "A Century of Global Equity Market Correlations," American Economic Review, American Economic Association, vol. 98(2), pages 535-540, May.
    2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    3. Victor Olkhov, 2022. "Market-Based Price Autocorrelation," Papers 2202.09323, arXiv.org, revised Feb 2024.
    4. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Shephard, N.G., 1991. "From Characteristic Function to Distribution Function: A Simple Framework for the Theory," Econometric Theory, Cambridge University Press, vol. 7(4), pages 519-529, December.
    7. Francisco Barillas & Jay Shanken, 2018. "Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 73(2), pages 715-754, April.
    8. Berkowitz, Stephen A & Logue, Dennis E & Noser, Eugene A, Jr, 1988. " The Total Cost of Transactions on the NYSE," Journal of Finance, American Finance Association, vol. 43(1), pages 97-112, March.
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    Cited by:

    1. Victor Olkhov, 2023. "Market-Based Probability of Stock Returns," Papers 2302.07935, arXiv.org, revised Feb 2024.
    2. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
    3. Victor Olkhov, 2022. "Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics," Papers 2208.07839, arXiv.org.
    4. Olkhov, Victor, 2023. "The Market-Based Statistics of “Actual” Returns of Investors," MPRA Paper 116896, University Library of Munich, Germany.

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